Worst‑Case Reinsurance Strategy with Likelihood Ratio Uncertainty
The study delves into optimizing reinsurance amidst uncertainty, aiming to minimize insurer's worst‑case loss. It establishes a connection between optimal strategies under a reference measure and those in worst‑case scenarios, applicable to tail risk quantification. Conditions for common optimal solutions are provided, with applications to expectile risk measures explored. Cooperative and non‑cooperative models are compared.